If I use the url www.example.com/www.example.com (the second being another website. Rules) and I want the second website to open, what do I have to do and where, to make that work?
Such task would require some configuration on the server end, which may vary depending on the type of the server you are hosting your website on. If you are the server admin then you could do it yourself, but if not then you will have to contact your web hosting company to have those websites configured in that manner. You could always add a folder on your initial domain, and just cloak and forward your secondary domain name to that first site/folder, but that's not a SEO friendly solution and I wouldn't recommend it.